Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Sep 25 (1D) Sep 26 (2D) Sep 29 (5D) Sep 30 (6D) Oct 01 (7D) Oct 02 (8D) Oct 03 (9D) Oct 06 (12D) Oct 07 (13D) Oct 08 (14D) Oct 10 (16D) Oct 17 (23D) Oct 24 (30D) Oct 31 (37D) Nov 07 (44D) Nov 14 (51D) Nov 21 (58D) Nov 28 (65D) Dec 05 (72D) Dec 12 (79D) Dec 19 (86D) Dec 26 (93D)
lower 655.019 652.655 647.965 646.747 645.627 644.585 643.606 640.958 640.150 639.374 637.900 633.358 629.470 626.015 622.873 619.974 617.267 614.719 612.305 610.006 607.807 605.695
upper 666.431 668.795 673.485 674.703 675.823 676.865 677.844 680.492 681.300 682.076 683.550 688.092 691.980 695.435 698.577 701.476 704.183 706.731 709.145 711.444 713.643 715.755
expected move 5.706 8.070 12.760 13.978 15.098 16.140 17.119 19.767 20.575 21.351 22.825 27.367 31.255 34.710 37.852 40.751 43.458 46.006 48.420 50.719 52.918 55.030
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
LinkedIn Connect with me on LinkedIn